Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Asymptotic optimal valuation with asymmetric risk and applications in finance.

Asymmetric Risk, Asymptotic optimality, Electricity market, Empirical regression, Equations aux Dérivées Partielles Non-Linéaires, Marché d’électricité, Nonlinear Partial Differential Equations, Optimalité asymptotique, Risque asymétrique, Régression empirique

Progressive probabilistic representation of nonlinear nonconservative PDEs and particle algorithms.

Chaos propagation, Equations Différentielles Stochastiques de type McKean, Equations aux Dérivées Partielles Nonlinéaires, Fonctionnelle nonlinéaire de type Feynman-Kac, McKean type Stochastic Differential Equations, Nonlinear Feynman-Kac type functional, Nonlinear Partial Differential Equations, Particles Systems, Probabilistic representation, Propagation du Chaos, Représentation probabiliste, Systèmes Particulaires

Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations.

Nonlinear McKean type Stochastic Differential Equations, Nonlinear Partial Differential Equations, Probabilistic representation of PDEs, Wasserstein type distance

Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations.

Chaos propagation, McKean Vlasov models, Nonlinear Partial Differential Equations, Nonlinear Stochastic Differential Equations, Particle systems, Probabilistic representation of PDEs

Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations.

Chaos propagation, McKean type Non-linear Stochastic Differential Equations, Nonlinear Partial Differential Equations, Particle systems, Probabilistic representation of PDEs